Categories

Archives

E-Mini Nasdaq Futures Volatility Forecast (21/03/2011)

The 2.270 area we thought would have been touched the last week has been clearly surpassed by the market which closed at 2,226 on Friday. Our forecasts have been very useful and more importantly very profitable once again.

The current volatility is 2.4% (38% annualised) but the TGARCH plot is clearly displaying an unstable situation because such a high volatility rate will probably tend to mean revert over the next trading days.

In particular, the curve will probably tend to get back to 1.5% (23.8% annualised) by the end of the week driving the market back up again. In other words, the E-Mini Nasdaq futures could achieve the 2,280 – 2,285 area by the next Friday.

The staff of HyperVolatility will place some longs in order to profit from the falling volatility of the E-Mini Nasdaq market (which is backed by the decreasing volatility of the VXN Index) but we will place some strict stops since the global political environment is still quite uneven.

VXN Index Volatility Forecast (21/03/2011)

The rise in volatility that we forecasted the last week evidently occurred and the staff of HyperVolatility was right once again!!! The VXN Index opened at 23.1% on Monday rallied at 28.4% on Thursday and closed at 26.6% on Friday: the combined strategy was quite fruitful.

The volatility is now at 11.7% (40.5% annualised) and it is probable that market fluctuations will start diminishing over the next trading days. The VXN Index will tend to head south and the TGARCH curve should touch 8% (27.7% annualised) by the end of the week if the macro scenario does not change much.

However, should the news from Libya get worse the volatility could jump back up again and retest the 10% area (34.6% in annual terms) but this occurrence, at least at the moment, appears to be the least likely to happen.

The staff of HyperVolatility is bearish on the VXN Index and therefore we will try to trade accordingly by going long Nasdaq futures

E-Mini Nasdaq Futures Volatility Forecast (14/03/2011)

The E-Mini Nasdaq Index plummeted, like all other equity indices, and after topping at 2,330 it dropped to 2,280.

The volatility plot is still upward sloping, the actual TGARCH figure is around 1.3% (20.6% annualised) and such a measurement is likely to augment in the upcoming days. Specifically, the volatility could achieve 1.6% (25.3% in annual terms) by the end of the week whilst the Index is probably going to plummet and retest the 2,270 zone.

The Nasdaq Index could be extremely affected by the Tsunami that destroyed Japan because many hi-tech companies have important branches, subsidiaries or commercial relations in Tokyo.

The staff of HyperVolatility remains quite bearish on this market and we will look for short opportunities because a boost in volatility and a consequent market drop seem to be the most likely scenario.

VXN Index Volatility Forecast (14/03/2011)

The VXN index topped at 24.3% the last Thursday and since then the volatility has constantly decreased. The implied volatility of the Nasdaq options market is probably going to diminish in the medium term but given the current macroeconomic scenario a rise in volatility provoked by a falling equity market is not an occurrence to opt out so easily.

The actual volatility is 8% – 8.2% (27.7% – 28.4% in annual terms) and the TGARCH plot displays a downward sloping curve, however, the week is still long and the investor’s fear increases as news from Japan get released.

The staff of HyperVolatility will remain flat this week but we believe that an immediate rise in volatility fluctuations is quite likely to happen. Consequently, we won’t place any trade unless we get a clear sign of rising volatility and should that be the case we will buy put options and short the underlying.

However, if these market expectations will not be met we won’t enter the market and we will wait for the end of the week in order to get a better understanding of the situation.

E-Mini Nasdaq Futures Volatility Forecast (27/02/2011)

The last week we saw a very fast retracement!!! However, such a drop did not really surprise our readers because in our previous week’s forecast we warned everyone against an imminent drop of the market despite its bullish outlook.

As soon as the market opened at 2,368.5 we entered a short position which has been closed on Thursday at 2390.5 because the volatility began to drop and it was clear that the down movement was running out of steam.

The actual volatility is 1.2% (19% in annual terms) and it is evident that the curve will tend to head south in the upcoming days favouring an ulterior recovery of the price which could achieve the 2,380 area by the end of the week.

The staff of HyperVolatility remains bullish on E-Mini Nasdaq futures but the week ahead is full of macroeconomics data that could alter the situation, hence, we will strictly monitor our positions.

VXN Index Volatility Forecast (27/02/2011)

Our bearish view on the VXN Index was confirmed by the fact that although the market opened at 23.3% and topped at 24.3%, it then mean reverted and closed at 20.6%. Surely, a very nice weekly trade!!!

The volatility of the VXN is now at 11.8% (40% annualised) which is clearly an extreme figure, if we consider the last 5 months oscillations, but the very last part of the chart is displaying a curve which is now downward sloping.           Specifically, the volatility will tend to mean revert to its equilibrium point which remains at 4.5% (15.5% annualised) and this will imply a softening of VNX Index fluctuations.

The staff of HyperVolatility remains bearish on the VXN Index because its volatility, after the great spike provoked by the Middle East turmoil and the consequent retracement which affected all Equity Indices, is going to diminish over the next trading days.

We will adopt the same strategy we mentioned the last week: shorting Nasdaq100 options whilst going long Nasdaq futures. Nevertheless, this week is full of macroeconomics data whose figures could change the scenario: US Manufacturing Index, Bernanke’s Speech, Initial Job Claims, Non-Farm Productivity, Non-Farm Payrolls and US unemployment rate.

E-Mini Nasdaq Futures Volatility Forecast (20/02/2011)

The last week our forecasts generated a target price close to the 2,390 points and effectively the market closed at 2,395. Another great and most importantly profitably trade!!!

The current volatility is around 0.78% (12.3% annualised) and it is exactly the same figure we gave you the last week because the TGARCH plot did not move from that point.

The market should keep rising even during the next week because the volatility should remain almost stable and the VXN Index should continue to decrease over the next trading days.

On the other hand, the E-Mini Nasdaq futures are very close to experience a retracement because the volatility will tend to get back up again and probably the explosion will be as violent as unexpected.

The staff of HyperVolatility is still moderately bullish on E-Mini Nasdaq futures and we will try to place some longs because the price should hit 2,420-2,430 points by the end of the next week. However, we are going to monitor the market constantly because we believe that a drop is on its way and US market movers could be the starting point.

VXN Index Volatility Forecast (20/02/2011)

The last week we forecasted a decrease of the VXN Index, whose volatility is now around 5.2% (18% in annual terms), but the Index opened on Monday at 17.4%, rose to 18.2% and the dropped back to 17.9%: practically a sideways week.

Specifically, the mean reverting movement of the VXN Index was the real cause of the diminishing of its volatility and the TGARCH plot highlights, once again, a downward sloping curve. In fact, the VXN volatility is still trying to get back to its equilibrium point which is around 4.5% (15.5% annualised) and it is reasonable to expect a further drop over the next trading days.

The staff of HyperVolatility remains bearish on the VXN Index and consequently we will try to maximise our returns by shorting Nasdaq100 options whilst some long positions will be entered on the Nasdaq100 futures market. The VXN could experience some short term wild fluctuations during US macroeconomics data release.

E-Mini Nasdaq Futures Volatility Forecast (13/02/2011)

The E-Mini Nasdaq futures moved even higher than what we expected last week. In fact, our forecasts suggested a target price around 2,350 points but E-Mini Nasdaq futures closed at 2,377 on Friday augmenting the profitability rate of our analysis.

The current volatility is 0.78% (12.3% annualised) and it is now moving sideways as the right hand side of the TGARCH plot suggests. However, the lateral movement should favour a further but not strong bullish movement of the price which could break through the 2,380 points by the end of the week.

Furthermore, if we consider that the VXN Index is decreasing the idea of goin g long some more E-Mini Nasdaq futures is not that bad at all since the statistical edge appears to be quite robust.

The staff of HyperVolatility remains bullish on this market and we will place some longs over the next trading days because the price should hit the 2,380 points barrier and eventually achieve 2,385 – 2,390. Having said that, it is worth reminding that the up movement is not going to be “powerful” and a great deal of attention will be needed in the 2,380 area which could prove to be a robust resistance.

VXN Index Volatility Forecast (13/02/2011)

The previous week the staff of HyperVolatility forecasted a drop in the VXN Index and once again our “predictions” proved accurate and most importantly profitable.

Specifically, the VXN Index opened at 18.22% on Monday but suddenly decreased to 17.72% on Wednesday and closed at 17.18% on Monday: almost a perfect trade!!!

The VXN Index is now fluctuating around 7% (24.2% annualised) but the TGARCH plot is clearly displaying a downward sloping curve which will probably bottom around 4.5% – 5% (15.5% – 17.3% annualised). Such a drop will smooth the VXN Index fluctuations which are going to target the 15.8% – 16% area.

The staff of HyperVolatility remains bearish on the VXN Index even this week and we will try to adopt a combined strategy using both options and futures. We will short Nasdaq100 options and will go long the Nasdaq100 futures in order to profit from a recovery of the Nasdaq Index caused by a lowering of market fluctuations.

Go back to top